论文部分内容阅读
中国同业拆借利率ＣＨＩＢＯＲ是我国目前唯一直接的市场利率，深入探求其内在规律并精确预测其未来变动，对央行监管和商行经营都是非常重要的。本文系统分析了ＣＨＩ－ＢＯＲ中最具代表性的隔夜拆借利率和一周拆借利率之间的协整关系，并在此关系基础上利用误差修正模型ＥＣＭ建立了二者的预测模型，实证结果表明无论短期预测还是长期预测精度都要优于传统的向量自回归模型ＶＡＲ
CHIBOR, the only direct market interest rate in China, deeply explores its inherent laws and accurately forecasts its future changes. It is very important to the central bank supervision and the operation of commercial banks. This article systematically analyzes the co-integration relationship between the most representative overnight lending interest rate and the one-week lending interest rate in CHI-BOR. Based on this relationship, the error correction model (ECM) is used to establish the forecasting model. The empirical results show that, Short-term prediction or long-term prediction accuracy than the traditional vector autoregressive model VAR